A pricing model for yield contracts

dc.contributor.author	Aase, Knut K.
dc.date.accessioned	2006-07-13T12:19:14Z
dc.date.available	2006-07-13T12:19:14Z
dc.date.issued	2002
dc.identifier.issn	1500-4066
dc.identifier.uri	http://hdl.handle.net/11250/163659
dc.description.abstract	An economic model is proposed for a combined price futures and yield futures market. The innovation of the paper is a technique of transforming from quantity and price to a model of two genuine pricing processes. This is required in order to apply modern financial theory. It is demonstrated that the resulting model can be estimated solely from data for a yield futures market and a price futures market. We develop a set of pricing formulas, some of which are partially tested, using price data for area yield options from the Chicago Board of Trade. Compared to a simple application of the standard Black and Scholes model, our approach seemes promising.	en
dc.format.extent	532471 bytes
dc.format.mimetype	application/pdf
dc.language.iso	eng	en
dc.publisher	Norwegian School of Economics and Business Administration. Department of Finance and Management Science	en
dc.relation.ispartofseries	Discussion paper	en
dc.relation.ispartofseries	2002:23	en
dc.subject	area yield options	en
dc.subject	futures	en
dc.subject	continous time modelling	en
dc.subject	quantity and price securing	en
dc.subject	CBOT yield contracts	en
dc.title	A pricing model for yield contracts	en
dc.type	Working paper	en